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Corporate governance and financial distress in China a multi-dimensional nonlinear study based on machine learning 中国公司治理与财务困境--基于机器学习的多维非线性研究
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-26 DOI: 10.1016/j.pacfin.2024.102549
Qingbin Meng , Xinxing Zheng , Solomon Wang
{"title":"Corporate governance and financial distress in China a multi-dimensional nonlinear study based on machine learning","authors":"Qingbin Meng ,&nbsp;Xinxing Zheng ,&nbsp;Solomon Wang","doi":"10.1016/j.pacfin.2024.102549","DOIUrl":"10.1016/j.pacfin.2024.102549","url":null,"abstract":"<div><div>Promoting governance efficiency is crucial for preventing corporate financial distress. However, previous research has been constrained by limited dimensions of governance predictors and insufficient linear estimations to predict financial distress. To address this issue, this study gathers 37 corporate governance indicators of Chinese publicly listed firms from 2009 to 2022 in the dimensions of ownership structure, board features and executive traits. The LightGBM machine learning approach is then used to compare the predicting power of these individual indicators, as well as the predicting power of the dimensions. The SHAP (SHapley Additive exPlanations) method is further adopted to conduct an in-depth interpretability analysis upon the established prediction. Our approach identifies the nonlinear effects of important corporate governance indicators on financial distress and prioritizes those indicators based on their impact levels. Our results show that the most influential indicator is institutional ownership, followed by managerial ownership and executive compensation disparity. In addition, the dimension of ownership structure has the highest predicting power among the three. Overall, our study provides new insights into how firms can optimize their corporate governance mechanisms to prevent financial distress.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102549"},"PeriodicalIF":4.8,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142423904","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Salience, psychological anchors, and stock return predictability 显著性、心理锚和股票回报可预测性
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-25 DOI: 10.1016/j.pacfin.2024.102543
Mei-Chen Lin
{"title":"Salience, psychological anchors, and stock return predictability","authors":"Mei-Chen Lin","doi":"10.1016/j.pacfin.2024.102543","DOIUrl":"10.1016/j.pacfin.2024.102543","url":null,"abstract":"<div><div>This study examines whether salience theory predicts the effect of a 52-week high (WH) on stocks in the Taiwanese stock market. The evidence indicates enhanced profits for WH when stocks with extremely salient payoffs are excluded. Salience-induced overvaluation mitigates investors' underreaction to good news when prices are near the WH, thus leading to non-significant positive returns for stocks with salient upsides. In contrast, salient downsides exacerbate investors' underreactions to good news when prices are close to their WHs, leading to greater positive returns. These findings do not result from short-term return reversals or investor attention. This effect is more pronounced for the stocks with higher arbitrage limits. The overestimation of the salient upsides dominates the underreaction to the WH when investors experience capital losses, high-sentiment, and upward market states.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102543"},"PeriodicalIF":4.8,"publicationDate":"2024-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142423902","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Impact of climate change risks on equity capital: Evidence-based on Chinese markets 气候变化风险对股权资本的影响：基于中国市场的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-23 DOI: 10.1016/j.pacfin.2024.102541
Xiaotong Yue , Xiaoran Kong , Qiuyun Zhao , Kung-Cheng Ho
{"title":"Impact of climate change risks on equity capital: Evidence-based on Chinese markets","authors":"Xiaotong Yue ,&nbsp;Xiaoran Kong ,&nbsp;Qiuyun Zhao ,&nbsp;Kung-Cheng Ho","doi":"10.1016/j.pacfin.2024.102541","DOIUrl":"10.1016/j.pacfin.2024.102541","url":null,"abstract":"<div><div>The economic consequences of climate change at the enterprise level have received considerable attention. This study examines the positive effects of climate change risk on equity capital costs, which are realized through firms' operational risk, financial constraints, and the government's service environment. A higher corporate ESG rating enhances the positive effect of climate change risk on equity capital costs. We also find that the Paris Agreement has a benign policy effect on equity capital costs. Finally, expanding upon this groundwork, a thorough heterogeneity analysis has been conducted, encompassing three distinct dimensions—enterprise risk system, industry environmental attributes, and operational ecosystem.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102541"},"PeriodicalIF":4.8,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142357127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does digital credit alleviate household income vulnerability? 数字信贷能否减轻家庭收入的脆弱性？
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-23 DOI: 10.1016/j.pacfin.2024.102542
Haijun Wang, Xiance Du, Chen Ge, Wanting Wu
{"title":"Does digital credit alleviate household income vulnerability?","authors":"Haijun Wang,&nbsp;Xiance Du,&nbsp;Chen Ge,&nbsp;Wanting Wu","doi":"10.1016/j.pacfin.2024.102542","DOIUrl":"10.1016/j.pacfin.2024.102542","url":null,"abstract":"<div><div>As a result of various internal and external risks and unstable expectations, the income vulnerability of households in various countries has come to the forefront, weakening the microfoundation of a stable macroeconomy. However, the booming development of digital credit may create favorable conditions for mitigating household income vulnerability and improving household economic resilience. Using data from the 2014–2020 China Family Panel Studies (CFPS), this paper explores the mechanism of the role of digital credit on household income vulnerability. Firstly, digital credit can help the household sector manage risks, effectively alleviate the credit constraints of the household sector, and mitigate household income vulnerability. Secondly, the development of digital credit mitigates household income vulnerability by promoting the breadth and depth of financial services. Thirdly, the heterogeneity analysis shows that the marginal utility of digital credit is higher for the income vulnerability of self-employed households, low-income disadvantaged households, and households in underdeveloped regions. Fourthly, the shock of the COVID-19 pandemic and the implementation of entrepreneurship assistance policies weakened digital credit's alleviation of household income vulnerability.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102542"},"PeriodicalIF":4.8,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142357040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does continuous disclosure affect the market reaction to mergers and acquisitions announcements? 持续披露是否会影响市场对并购公告的反应？
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-22 DOI: 10.1016/j.pacfin.2024.102540
Syed Shams , Sudipta Bose , Abeyratna Gunasekarage , Eswaran Velayutham
{"title":"Does continuous disclosure affect the market reaction to mergers and acquisitions announcements?","authors":"Syed Shams ,&nbsp;Sudipta Bose ,&nbsp;Abeyratna Gunasekarage ,&nbsp;Eswaran Velayutham","doi":"10.1016/j.pacfin.2024.102540","DOIUrl":"10.1016/j.pacfin.2024.102540","url":null,"abstract":"<div><div>We examine the association between the degree of continuous disclosure by bidders and the market reaction to the announcement of 3512 mergers and acquisitions (M&amp;As) by Australian bidders during the period 2000–2017. Using four proxies for continuous disclosure (total number of disclosures, total number of sensitive disclosures, total number of pages, and total number of sensitive pages), we find a positive association between the market reaction to M&amp;A announcements and the level of continuous disclosure made by bidders. These findings imply that investors, when assessing M&amp;A deals, find bidders' disclosures to be informative and value relevant. Further analyses reveal that this positive association is more pronounced for private target acquisitions, stock-financed acquisitions, and unrelated acquisitions.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102540"},"PeriodicalIF":4.8,"publicationDate":"2024-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142423895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Capital infusions and Bank risk-taking behaviour 资本注入与银行冒险行为
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-19 DOI: 10.1016/j.pacfin.2024.102539
Vijaya B. Marisetty , Md Shoeb
{"title":"Capital infusions and Bank risk-taking behaviour","authors":"Vijaya B. Marisetty ,&nbsp;Md Shoeb","doi":"10.1016/j.pacfin.2024.102539","DOIUrl":"10.1016/j.pacfin.2024.102539","url":null,"abstract":"<div><div>Despite theoretical predictions on the ill effects associated with capital infusions, the Global Financial Crisis (GFC) brought them into mainstream banking around the world. Empirical evidence on capital infusions during GFC supports the existence of moral hazard problem. However, what is not clear is whether the increase in bank risk post-capital infusions is due to an increase in bank risk-taking behaviour (moral hazard) or simply reflects an increase in the average firm-level risk due to poor economic conditions. We try to disentangle this issue by using capital infusion data in the Indian banking industry, where government capital infusions in public sector banks happen in all economic conditions and hence allow us to control for a non-crisis environment. Our results strongly support the moral hazard problem in banks, surrounded by no apparent economic crisis. The results are also independent of the bank's propensity to take risks and its financial health. One major implication of our findings is that repeated capital infusions to protect banks can be detrimental as it increases the fiscal risk of the country.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102539"},"PeriodicalIF":4.8,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142312592","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Is there an intraday reversal effect in commodity futures and options? Evidence from the Chinese market 商品期货和期权是否存在日内反转效应？来自中国市场的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-19 DOI: 10.1016/j.pacfin.2024.102534
Luyuan Zheng , Xingguo Luo
{"title":"Is there an intraday reversal effect in commodity futures and options? Evidence from the Chinese market","authors":"Luyuan Zheng ,&nbsp;Xingguo Luo","doi":"10.1016/j.pacfin.2024.102534","DOIUrl":"10.1016/j.pacfin.2024.102534","url":null,"abstract":"<div><div>Based on the high-frequency data of China's commodity futures and options markets from 2017 to 2022, this article examines the intraday effect of China's commodity futures and options. The research of this article found that China's commodity futures and options have significant intraday reversal effects, and the overnight opening factor and intraday momentum factor are more significant. In addition, this article tests the cross-predictive ability of futures and options. The tests found that futures have a strong cross-predictive ability for options, while the cross-predictive ability of options to futures is weak. In response to this phenomenon, several tests are conducted. We consider the market makers' Gamma Hedge behavior, Vega Hedge behavior, and liquidity as factors. Our novel evidence indicates that all these aforementioned are related to the intraday reversal effect in the Chinese market.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102534"},"PeriodicalIF":4.8,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142327885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Impact of financial regulation on labor income share: Evidence from China 金融监管对劳动收入份额的影响：来自中国的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-18 DOI: 10.1016/j.pacfin.2024.102538
Quan Li , Kaiyan Zhan , Hexin Jiang , Tianshu Li , Yuan Zhang
{"title":"Impact of financial regulation on labor income share: Evidence from China","authors":"Quan Li ,&nbsp;Kaiyan Zhan ,&nbsp;Hexin Jiang ,&nbsp;Tianshu Li ,&nbsp;Yuan Zhang","doi":"10.1016/j.pacfin.2024.102538","DOIUrl":"10.1016/j.pacfin.2024.102538","url":null,"abstract":"<div><div>Following the implementation of China's new asset management regulations as an exogenous event, this paper explores the changes in corporate labor income share brought about by the financial regulation. Through a series tests, we demonstrate that financial regulation has a positive impact on China's corporate labor income share. We find the ‘de-financialization’ effect associated with China's new asset management regulations has lowered the cost of corporate financing and improved the human capital structure, which act as transmission mechanisms of our result. On the cross section, the positive impact of financial regulation on corporate labor income share is particularly pronounced for Chinese State-Owned Enterprises (SOEs), and firms which are led by executives with a background in finance, and firms which have excessive capital investment or weak capital-labor interchangeability. In addition, this enhancement effect is affected by the degree of firms' principal agency and the importance they place on innovative. In summary, our study shed light on how government financial policy sharps corporate behavior in emerging market country, thus expanding and supplementing the existing literature. The result is of great significance to attempt to formulate financial regulatory policy and promote common prosperity in China.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102538"},"PeriodicalIF":4.8,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142327966","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Taking matters into their own hands: How Investors' stock preferences affect mutual fund flows in China 自己的事情自己做投资者的股票偏好如何影响中国的共同基金流动
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-17 DOI: 10.1016/j.pacfin.2024.102537
Shi Li, Rongsha Fu, Meng Li
{"title":"Taking matters into their own hands: How Investors' stock preferences affect mutual fund flows in China","authors":"Shi Li,&nbsp;Rongsha Fu,&nbsp;Meng Li","doi":"10.1016/j.pacfin.2024.102537","DOIUrl":"10.1016/j.pacfin.2024.102537","url":null,"abstract":"<div><div>We examine the impact of investors' stock preferences in mutual funds' portfolios on fund flows in China. Our results indicate that mutual funds with an investment style consistent with individual investors' stock preferences have higher fund flow. We find that it affects only individual investors' fund flow, not institutional investors' fund flow. This impact is greater during periods of low economic policy uncertainty or high investor sentiment. Moreover, this impact is reduced with larger fund size or longer fund age. The reasonable explanation is that investors infer fund managers' skills by analyzing the stocks in the fund's portfolio. This explanation is further validated by the results using index funds as the control group. Our findings challenge the assumption that mutual fund investors fully delegate decisions to professionals. Further analysis reveals there is no significant correlation between these preferences and future returns. Our findings contribute to the study of mutual fund investor behavior from a fresh perspective.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102537"},"PeriodicalIF":4.8,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142312590","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Out-of-sample equity premium predictability: An EMD-denoising based model 样本外股票溢价可预测性：基于 EMD 去噪模型
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-09-17 DOI: 10.1016/j.pacfin.2024.102536
Haohua Li , Yuhe Mei , Xianfeng Hao , Zhuo Chen
{"title":"Out-of-sample equity premium predictability: An EMD-denoising based model","authors":"Haohua Li ,&nbsp;Yuhe Mei ,&nbsp;Xianfeng Hao ,&nbsp;Zhuo Chen","doi":"10.1016/j.pacfin.2024.102536","DOIUrl":"10.1016/j.pacfin.2024.102536","url":null,"abstract":"<div><div>The poor out-of-sample forecasting performance of the stock returns of various predictors has been widely confirmed in the literature, which casts doubt on the reliability of stock-return predictability. However, the reliability of return predictability is closely related to the noise contained in the data. In this study, we design a new method to address the noise in the framework of empirical mode decomposition. The EMD method provides an efficient return decomposition, and based on which we selectively remove high-frequency components that are more likely to be contaminated by outliers. Our new model delivers statistically and economically significant out-of-sample gains relative to the historical average. The predictive ability mainly originates from the business-cycle risk and survives a series of robustness tests.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"88 ","pages":"Article 102536"},"PeriodicalIF":4.8,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142322472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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